Narrow search
Showing 1 - 10 of 883
Cover Image
The size effect in value and momentum factors : implications for the cross-section of international stock returns
Atanasov, Victoria; Nitschka, Thomas - 2013
We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...
Persistent link: https://www.econbiz.de/10010224775
Cover Image
Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …
Persistent link: https://www.econbiz.de/10010259626
Cover Image
Intraday price discovery in fragmented markets
Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014
For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the assetś true underlying value. We explore intraday variation in price discovery using a structural model with time-varying...
Persistent link: https://www.econbiz.de/10010250525
Cover Image
Long-term investing under uncertain parameter instability
Keijsers, Bart - 2023
The relationship between excess returns and the dividend price ratio is known to be unstable. However, there is no consensus on the type of instability, i.e. few or many breaks. Differences in parameter instability affect the long-term investor in particular, as misspecification errors are...
Persistent link: https://www.econbiz.de/10014416056
Cover Image
Why do Pit-Hours outlive the Pit?
Ozturk, Sait R.; Wel, Michel van der; Dijk, Dick van - 2015
We study why a majority of trades still happen during the pit hours, i.e. when the trading pit is open, even after the pit ceased to be a liquid and informative venue. We investigate the case of 30-year U.S. Treasury futures using a ten-years-long intraday data set which contains the...
Persistent link: https://www.econbiz.de/10011295705
Cover Image
Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
Cover Image
Need for speed? : exchange latency and liquidity
Menkveld, Albert J.; Zoican, Marius A. - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
Cover Image
Cash flow and discount rate risk in up and down markets : what is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10011382429
Cover Image
Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
Cover Image
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006